Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 19 | 17 | 19 |
| Score | 7.09 | 5.69 | 8.03 |
| Market Cap (Millions USD) | 5156.54 | 5092.65 | 5587.6 |
| Predicted Beta | 0.5 | 0.5 | 0.49 |
| Idiosyncratic Volatility | 0.44 | 0.64 | 0.68 |
Annualized return and volatility
| SPYG | |
|---|---|
| Annualized Return | 0.0402 |
| Annualized Std Dev | 0.2073 |
| Annualized Sharpe (Rf=0%) | 0.1941 |
Row
Daily Return Statistics
| SPYG | |
|---|---|
| Observations | 4920.0000 |
| NAs | 194.0000 |
| Minimum | -0.1161 |
| Quartile 1 | -0.0046 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0057 |
| Maximum | 0.1248 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.1015 |
| Kurtosis | 10.7835 |
Downside Risk
| SPYG | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0096 |
| Loss Deviation | 0.0107 |
| Downside Deviation (MAR=210%) | 0.0140 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.6764 |
| Historical VaR (95%) | -0.0202 |
| Historical ES (95%) | -0.0324 |
| Modified VaR (95%) | -0.0188 |
| Modified ES (95%) | -0.0256 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-10-03 | 2009-03-09 | 2013-12-23 | -0.6764 | 3382 | 2157 | 1225 |
| 2018-10-02 | 2018-12-24 | 2019-04-23 | -0.2061 | 141 | 59 | 82 |
| 2015-11-04 | 2016-02-11 | 2016-07-08 | -0.1333 | 172 | 69 | 103 |
| 2015-07-21 | 2015-08-25 | 2015-11-02 | -0.1179 | 76 | 27 | 49 |
| 2018-01-29 | 2018-02-08 | 2018-06-04 | -0.0987 | 89 | 9 | 80 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | SPYG | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | -0.8 | 0 | -0.8 |
| 2001 | -0.2 | -5.3 | 0.0 | 0.0 | -0.4 | 0.0 | 0.8 | 0.0 | -1.4 | 1.4 | 0.0 | 0 | -5.1 |
| 2002 | -0.3 | 2.4 | -0.1 | 0.3 | 0.0 | -0.1 | -0.3 | 0.0 | 3.6 | 0.4 | 0.0 | 0 | 6.0 |
| 2003 | 0.0 | 0.0 | -0.1 | -0.4 | 0.0 | 1.0 | -1.7 | 0.0 | 1.6 | 0.0 | 0.6 | 0 | 0.9 |
| 2004 | 0.0 | 0.8 | -0.1 | 0.0 | 0.0 | -1.5 | 0.0 | 0.7 | 1.7 | 0.1 | 1.6 | 0 | 3.3 |
| 2005 | 0.5 | 0.7 | -1.4 | 0.0 | 0.4 | 0.0 | 0.1 | 0.0 | 0.0 | -1.1 | 1.4 | 0 | 0.7 |
| 2006 | -0.4 | 1.2 | 0.0 | -0.1 | 1.6 | 0.0 | -0.7 | 0.4 | 0.0 | -0.9 | -0.6 | 0 | 0.4 |
| 2007 | 0.2 | -0.4 | 0.0 | 0.1 | 0.4 | 0.0 | 0.7 | 0.0 | 1.3 | -1.8 | 0.0 | 0 | 0.5 |
| 2008 | 1.9 | 0.0 | 2.9 | 1.9 | 0.0 | -0.1 | -0.8 | 0.0 | -1.5 | 0.0 | -7.4 | 0 | -3.4 |
| 2009 | 0.0 | 0.0 | 1.5 | 0.2 | 3.4 | 0.1 | 0.0 | -1.5 | -2.5 | 0.0 | 2.0 | 0 | 3.1 |
| 2010 | 1.0 | 1.4 | 0.0 | 0.0 | -1.9 | -0.3 | 0.0 | 3.1 | 0.0 | 0.3 | 2.1 | 0 | 5.8 |
| 2011 | 1.4 | -1.4 | 0.3 | 0.0 | -1.4 | 1.3 | -0.5 | -1.1 | 0.0 | -2.6 | 0.4 | 0 | -3.6 |
| 2012 | 0.7 | 0.5 | 0.0 | 0.7 | -2.3 | 0.0 | -0.4 | 0.0 | 0.3 | 1.1 | 0.0 | 0 | 0.6 |
| 2013 | 1.0 | 0.5 | -0.6 | -0.7 | 0.0 | 0.9 | 1.3 | 0.0 | 0.8 | 0.1 | 0.0 | 0 | 3.3 |
| 2014 | 0.0 | 0.0 | 1.0 | 0.1 | 0.0 | 1.0 | -0.2 | 0.0 | -1.4 | 0.0 | -0.9 | 0 | -0.5 |
| 2015 | 0.0 | 0.0 | -0.5 | 1.3 | 0.2 | 0.4 | 0.0 | -2.7 | 0.1 | 0.0 | 1.0 | 0 | -0.2 |
| 2016 | 0.2 | 2.6 | 0.8 | 0.0 | 0.1 | 0.4 | 0.1 | 0.1 | 0.0 | -0.9 | -1.1 | 0 | 2.3 |
| 2017 | 0.3 | 1.2 | 0.0 | 0.4 | 0.5 | 0.0 | 0.3 | 0.1 | 0.0 | 0.0 | -0.3 | 0 | 2.5 |
| 2018 | -0.4 | -1.5 | 0.0 | 0.7 | 1.3 | 0.0 | 0.3 | 0.0 | 0.3 | 1.2 | 0.0 | 0 | 2.0 |
| 2019 | 0.0 | 0.8 | 1.0 | -1.0 | 0.0 | 0.9 | -0.4 | 0.0 | -1.2 | 0.6 | 0.0 | 0 | 0.6 |
Row
Rolling Performance Chart
Snail Trail Chart
